Post by atumdjeheuty on Nov 7, 2010 7:01:14 GMT 4
Nov 5, 2010
Many major investment banks have been scaling down their commodities risk this year in expectation of a financial regulatory crackdown.
Already banks are closing proprietary trading units or
folding them into asset management sections to comply with the
Volcker Rule, passed in July in the United States, which bans
banks from using more than 3 percent of their capital for
trading in assets that include commodities.
Banks have also laid off or allowed proprietary traders to
quit and form their own money management enterprises, including
commodity hedge funds.
Societe Generale and UBS, both of which slightly increased
their commodities VaR, exposure to risk in the commodity markets
as a proportion of their total trading VaR was slim.
VaR is an industry gauge of how much money a bank can lose
on any given day by its trades in a particular asset class.
U.S. banks generally use VaR 95, meaning they take into
account all but 5 percent of potential scenarios, while European
banks tend to take stock of all but 1 percent.
Many major investment banks have been scaling down their commodities risk this year in expectation of a financial regulatory crackdown.
Already banks are closing proprietary trading units or
folding them into asset management sections to comply with the
Volcker Rule, passed in July in the United States, which bans
banks from using more than 3 percent of their capital for
trading in assets that include commodities.
Banks have also laid off or allowed proprietary traders to
quit and form their own money management enterprises, including
commodity hedge funds.
Societe Generale and UBS, both of which slightly increased
their commodities VaR, exposure to risk in the commodity markets
as a proportion of their total trading VaR was slim.
VaR is an industry gauge of how much money a bank can lose
on any given day by its trades in a particular asset class.
U.S. banks generally use VaR 95, meaning they take into
account all but 5 percent of potential scenarios, while European
banks tend to take stock of all but 1 percent.